Weak convergence of adaptive Markov chain Monte Carlo

Abstract: This article develops general conditions for weak convergence of adaptive Markov chain Monte Carlo processes and is shown to imply a weak law of large numbers for bounded Lipschitz continuous functions. This allows an estimation theory for adaptive Markov chain Monte Carlo where previously developed theory in total variation may fail or be difficult to establish. Extensions of weak convergence to general Wasserstein distances are established along with a weak law of large numbers for possibly unbounded Lipschitz functions. Applications are applied to auto-regressive processes in various settings, unadjusted Langevin processes, and adaptive Metropolis-Hastings.